This is the program for the 2010 Joint Statistical Meetings in Vancouver, British Columbia.
Abstract Details
Activity Number:
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124
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Type:
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Topic Contributed
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Date/Time:
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Monday, August 2, 2010 : 8:30 AM to 10:20 AM
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Sponsor:
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Business and Economic Statistics Section
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Abstract - #307662 |
Title:
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On the Seasonal Adjustment of Long Memory Time Series
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Author(s):
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Scott Holan*+ and Tucker Sprague McElroy
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Companies:
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University of Missouri and U.S. Census Bureau
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Address:
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146 Middlebush Hall, Columbia, MO, 65211-6100, U.S.A.
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Keywords:
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Long Memory ;
Seasonal Adjustment ;
Signal Extraction ;
Unobserved Component Models
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Abstract:
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Research into long memory processes has recently spread to the modeling of seasonality through the use of generalized exponential (GEXP) time series models. This talk describes the GEXP model and introduces the new Seasonal Fractional Exponential (SFEXP) model. We explore the fit of these models to economic time series data and present an application of seasonal long memory modeling to the problem of seasonal adjustment. In particular, we discuss a structural approach to obtaining component models for seasonal and trend in the context of long memory, and use these models to obtain minimum mean square error signal extraction estimates. This technique is then illustrated on several economic time series.
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The address information is for the authors that have a + after their name.
Authors who are presenting talks have a * after their name.
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